Differential Evolution for Multiobjective Portfolio Optimization
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References listed on IDEAS
- M. Gilli & E. Kellezi & H. Hysi, 2006.
"A Data-Driven Optimization Heuristic for Downside Risk Minimization,"
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355, Society for Computational Economics.
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More about this item
KeywordsPortfolio Optimization; Multiobjective; Real-world Constraints; Value at Risk; Expected Shortfall; Differential Evolution;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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